401.3 error w/proxy server

we are using a ms proxy server2.0 to get to the internet,we have no problems with this set up, when trying to access a password protected part of our website out on the internet we get the access denied 401.3 error , if we go out to the internet from a dial up or directly from the proxy server it askes for the user name and password which is what we want, but why won’t it do this going through the proxy server